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Aug
23
comment GARCH estimation does not work, error in my returns?
Re: error. try to call disp(Mdl) right before calling estimate(). P & Q do not change.
Aug
23
comment What is the difference between market equilibrium and market efficiency? equilibrium implies efficiency?
frictionless does not eliminate liquidity issues. i would say even liquid frictionless market can be inefficient. processing of information by market participants is the key.
Aug
19
answered What is the difference between market equilibrium and market efficiency? equilibrium implies efficiency?
Jul
15
awarded  Commentator
Jul
15
comment Latency and Delays across Exchanges
HFT is up to microseconds scale. Actual value of RTT mentioned above does not matter if you want your orders to arrive to each exchange at the same time to avoid HFT sharks.
Jul
15
answered Aggregate interactive brokers data in matlab
Jul
14
answered Latency and Delays across Exchanges
Jun
29
comment Aggregate interactive brokers data in matlab
What do you mean by "I can't aggregate"? Any error message?
Jun
16
comment Is there a relation between these two forecasting/estimation approaches?
covariance stationary is very strong assumption. it is rare when it is true.
Mar
15
answered Sharpe Ratio vs Net Profit vs max drawdown
Feb
10
awarded  Supporter
Jan
7
comment Does unit root stationary imply mean stationary and variance stationary?
The above example will pass ADF test as trend-stationary.
May
17
comment Replicating the short part of a long-short trade using inverse ETFs
What is your time horizon? Inverse ETFs get reset very often.
Apr
11
comment Harnessing small correlations for reliable profit
The system helps to choose the optimal allocation between stocks. It does not choose stocks for you. You have to select your basket. It is iterative system. It takes time to converge to optimal allocation. Do not expect to get it working in 3 trades. Also, it helps to have stocks with minimum correlation. With perfectly correlated stocks - any allocation will give the same result. The detailed description is here.
Apr
10
answered Harnessing small correlations for reliable profit
Apr
10
comment Avoiding negative spread in pairs trading
spread sign is not important. P&L will be determined by change in equity line.
Apr
7
awarded  Teacher
Apr
7
answered Testing Significance of Correlation
Mar
9
comment Pairs trading: Question on non-negative profits, size of the positions and trading signals
What values do you substitute for X & Y? Prices or log prices?
Nov
18
comment Cointegration trading: Ignoring pairs that aren't economically related
the reference: 1. gogerty.com/blogpersonal/… 2. more complex and slightly outdated: stat.wharton.upenn.edu/~steele/Courses/434/434Context/…